Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models
It is well known that for continuous time models with a linear drift standard estimation methods yield biased estimators for the mean reversion parameter both in nite discrete samples and in large in-…ll samples. In this paper, we obtain two expressions to approximate the bias of the least squares/m...
Saved in:
| Main Author: | |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2009
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1152 https://ink.library.smu.edu.sg/context/soe_research/article/2151/viewcontent/bias02.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |